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Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes

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  • Gawon Yoon

Abstract

This paper extends the previous results in Bessler and Yu (1994) on the official and black market exchange rates in Brazil. Rather than taking instantaneous data transformations to produce a stable long-run equilibrium relationship as Bessler and Yu did, the possibility of structural changes in the long-run relationship was considered. It is found that the two approaches have quite different implications on the long-run dynamics of the data series. It is claimed that to fully understand the dynamics of the exchange rate data series, it is necessary to consider the possibility of structural change and explicitly model it.

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  • Gawon Yoon, 1997. "Further analysis of official and black market exchange rates in Brazil: data transformations and structural changes," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 317-325.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:3:p:317-325
    DOI: 10.1080/096031097333682
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    References listed on IDEAS

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    Cited by:

    1. Jesus Otero & Costas Milas, 2000. "Modelling official and parallel exchange rates in Colombia under alternative regimes: a non-linear approach (Corrected version)," Borradores de Investigación 3232, Universidad del Rosario.
    2. Clive Granger & Yongil Jeon, 2000. "Model evaluation based on residual analysis of two similar models," Applied Economics, Taylor & Francis Journals, vol. 32(7), pages 861-867.
    3. Ashworth, John & Evans, Lynne & Teriba, Ayo, 1999. "Structural breaks in parallel markets?: the case of Nigeria, 1980-1993," Journal of Development Economics, Elsevier, vol. 58(1), pages 255-264, February.

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